This thesis addresses asset pricing in Chinese A-share stock markets using a dataset consisting of all shares listed in Shanghai and Shenzhen stock exchanges from January 1997 to December 2007. The empirical work is carried out based on two theoretical foundations: the efficient market...

Consumption-based asset pricing models (CCAPMs) connect asset returns with consumption growth. The poor empirical performance of early consumption models has led to the development of a number of more sophisticated models. Nevertheless, most models focus on the US markets, and very few CCAPMs...

In measuring the performance characteristics of fixed-income mutual funds in the emerging economies of Eastern Europe, we use a sample of funds domiciled in Poland, Hungary and the Czech Republic, finding failure to surpass passive benchmarks even before considering the impact of expenses on...

We test conditional consumption capital asset pricing models (CCAPMs) in the Australian equity market. The conditional variables used are Lettau and Ludvigson’s (2001a, b) consumption–wealth ratio, Campbell and Cochrane’s (1999) surplus consumption ratio and Santos and...

We address the problem of constructing and identifying a valid joint probability density function from a set of specified conditional densities. The approach taken is based on the development of relations between the joint and the conditional densities using Markov random fields (MRFs). We give...